| Close | |
|---|---|
| Annualized Return | 0.0484 |
| Annualized Std Dev | 0.3000 |
| Annualized Sharpe (Rf=0%) | 0.1614 |
| Close | |
|---|---|
| Observations | 4946.0000 |
| NAs | 1.0000 |
| Minimum | -0.2085 |
| Quartile 1 | -0.0063 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1820 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0189 |
| Skewness | -0.0009 |
| Kurtosis | 19.5082 |
| Close | |
|---|---|
| Semi Deviation | 0.0134 |
| Gain Deviation | 0.0149 |
| Loss Deviation | 0.0157 |
| Downside Deviation (MAR=210%) | 0.0175 |
| Downside Deviation (Rf=0%) | 0.0133 |
| Downside Deviation (0%) | 0.0133 |
| Maximum Drawdown | 0.7700 |
| Historical VaR (95%) | -0.0240 |
| Historical ES (95%) | -0.0453 |
| Modified VaR (95%) | -0.0233 |
| Modified ES (95%) | -0.0233 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2009-03-06 | 2016-07-05 | -0.7700 | 2368 | 523 | 1845 |
| 2020-02-19 | 2020-03-23 | NA | -0.4491 | 275 | 24 | NA |
| 2016-08-02 | 2018-02-08 | 2019-09-04 | -0.2127 | 778 | 384 | 394 |
| 2002-04-15 | 2002-10-09 | 2003-06-11 | -0.1940 | 292 | 124 | 168 |
| 2004-04-02 | 2004-05-11 | 2004-08-31 | -0.1780 | 104 | 27 | 77 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | -0.6 | 0 | 0.5 | -0.2 | -0.1 | 0.8 | 0.2 | 0.1 | 0.6 |
| 2002 | 0.5 | 0.2 | -0.4 | 0.7 | 0.2 | -2.3 | -1.6 | 0.8 | -0.3 | 1.4 | -0.3 | 0.6 | -0.6 |
| 2003 | 1.1 | 0 | 1 | 1 | 1.7 | 0.9 | -0.3 | 0.5 | 0.8 | -0.3 | 1.2 | -0.5 | 7.3 |
| 2004 | 1 | 1.1 | 1.1 | -1.1 | -0.7 | -0.5 | 0.6 | -0.3 | 1.7 | 1.2 | 2.4 | -0.4 | 6.1 |
| 2005 | 0.2 | 1 | 0 | 1.8 | 1 | 0.9 | -0.1 | 0.7 | 1.3 | -2.2 | 0.9 | -0.4 | 5 |
| 2006 | 0.5 | 0.7 | 0.3 | -1.5 | 2.2 | 1.2 | -0.4 | -0.5 | 0 | -0.7 | -0.2 | 0.4 | 2 |
| 2007 | 0.4 | -0.3 | 1.2 | -0.9 | 0 | -0.3 | 1 | 2 | 1.8 | -3.7 | 1.4 | 0 | 2.6 |
| 2008 | 4 | -1.9 | 6 | 2.2 | -0.6 | 0.2 | -0.1 | -1 | -1.8 | 7.2 | -20.9 | 4.9 | -4.8 |
| 2009 | -3.6 | -1.4 | -1.7 | -3.5 | 3.1 | 1.2 | 0.1 | -5.3 | -4.5 | -1.9 | 1.2 | -1.8 | -17.1 |
| 2010 | 2 | 1 | 0.3 | -3.2 | -2 | 0 | 0.5 | 3.2 | 0.5 | 1 | 0.7 | -0.2 | 3.6 |
| 2011 | 0.4 | -3 | 0.1 | -0.4 | -2.8 | 1.9 | -1.5 | -1.5 | -2.8 | -3.5 | -1.2 | -0.4 | -13.9 |
| 2012 | 1 | 0.6 | 0.9 | 1.2 | -2.5 | 2.7 | -0.3 | 0.2 | -0.8 | 0.3 | 0.2 | 1.1 | 4.5 |
| 2013 | 0.6 | 0.4 | 0.3 | -0.7 | -1.3 | -0.4 | -0.3 | -0.6 | 1.5 | 0.6 | -1 | -0.7 | -1.8 |
| 2014 | 0.5 | 0.8 | 0.5 | 0.5 | 0.5 | 0.4 | -0.2 | 0.5 | 0.1 | 1.4 | -0.2 | -1.6 | 3.4 |
| 2015 | -2.2 | 0.7 | -0.3 | 0.9 | 1.3 | 1.6 | 0.7 | -1.9 | 0.5 | -1 | 1.4 | -0.9 | 0.8 |
| 2016 | 0.1 | 3 | 0 | -1.1 | 0 | 0.1 | 0.2 | -0.2 | -0.7 | -2.1 | -1.4 | 1.3 | -0.8 |
| 2017 | -1.4 | -0.4 | 0.6 | 0.7 | 0.5 | -0.2 | 0.5 | 0.4 | 0 | 0.6 | 0.2 | 0 | 1.6 |
| 2018 | -2.1 | 0.4 | -0.1 | 1 | 0.5 | 0.3 | 0.6 | 0.3 | -1 | 0.4 | 1.1 | 0.3 | 1.5 |
| 2019 | -0.7 | -0.6 | 0.2 | 0.4 | 0.5 | -0.2 | -0.2 | 0.2 | -1 | 0.1 | -0.5 | 0.7 | -1.1 |
| 2020 | -1.2 | -2.3 | -7.2 | -3.5 | 2.4 | 2.5 | 0 | -0.1 | 2.6 | -0.4 | 1.1 | 1 | -5.7 |
| 2021 | 1.8 | 0.6 | -2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-05-02 37.2 SPY 127. -0.0018 0.0296 0.110 -0.0744 -0.120 NA NA <NA> NA NA NA
2 2001-05-08 36.8 SPY 126. -0.0005 -0.0068 0.114 -0.068 -0.114 NA NA <NA> NA NA NA
3 2001-05-10 37.0 SPY 126. 0.00290 0.0065 0.0803 -0.0533 -0.0876 NA NA <NA> NA NA NA
4 2001-05-17 37.6 SPY 129. 0.0016 0.0248 0.0415 -0.0314 -0.110 NA NA <NA> NA NA NA
5 2001-05-29 38.6 SPY 127. -0.008 -0.0347 0.0103 0.0051 -0.0791 NA NA <NA> NA NA NA
6 2001-05-31 38.4 SPY 126. 0.0052 -0.0255 -0.0087 0.0108 -0.118 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>